Retracement-Value
- hypothetical · Annual Return (Compounded)
- 0.2%
- Max Drawdown
- 11.5%
- Trades
- 20
- Win Trades
- 40.0%
- Profit Factor
- 1.10
- Win Months
- 0.4%
About this strategy
The Retracement-Value (R-V) Portfolio is based on the portfolio stocks dropping from their 26 or 52-week high by a certain percentage, then retracing their price back to their original levels.
The Retracement-Value (R-V) Portfolio is a special-situation, aggressive small/mid-cap portfolio with unusually high returns and moderate volatility.
This portfolio has a fairly high turnover of the 5-6 stocks it holds and rebalances weekly. Typically, 3 of the five stocks are traded each week to take profits. Here are the minimum requirements for the R-V Portfolio:
1) Minimum share price: $1 per share
2) Minimum company market capitalization: $50 million
3) Minimum volume: $1,000,000 in price times volume per day
We buy the stocks when they have dropped and sell them after they have risen again. We use Fibonacci numbers to measure the 26/52-week high rise from the low, the percentage downturn from 26/52-week highs, and also the appropriate point to sell.
Note that this portfolio works best in times of a rising market, since in a generally weak market, retracements will not be as consistent or strong. If the market is in a downturn, this aggressive portfolio will invest in magnified, short ETFs.
The Retracement-Value (R-V) Portfolio is a special-situation, aggressive small/mid-cap portfolio with unusually high returns and moderate volatility.
This portfolio has a fairly high turnover of the 5-6 stocks it holds and rebalances weekly. Typically, 3 of the five stocks are traded each week to take profits. Here are the minimum requirements for the R-V Portfolio:
1) Minimum share price: $1 per share
2) Minimum company market capitalization: $50 million
3) Minimum volume: $1,000,000 in price times volume per day
We buy the stocks when they have dropped and sell them after they have risen again. We use Fibonacci numbers to measure the 26/52-week high rise from the low, the percentage downturn from 26/52-week highs, and also the appropriate point to sell.
Note that this portfolio works best in times of a rising market, since in a generally weak market, retracements will not be as consistent or strong. If the market is in a downturn, this aggressive portfolio will invest in magnified, short ETFs.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | 6.7 | -0.3 | 6.3 | ||||||||||
| 2008 | -5.4 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -5.4 |
| 2009 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2010 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.0 | 0.0 | -0.0 | 0.0 | -0.0 | 0.0 | 0.0 | -0.0 |
| 2011 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.0 |
| 2012 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2013 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2014 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2015 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2016 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2017 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2018 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2019 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |
| 2020 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2021 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2022 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2023 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2024 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2025 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2026 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
Statistics
Overview
| Strategy began | 11/13/2007 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 229 months |
| What it trades | Stocks |
| # Trades | 20 |
| # Profitable | 8 |
| % Profitable | 40.0% |
| Avg trade duration | 10.5 days |
| Max peak-to-valley drawdown | 11.5% |
| drawdown period | Dec 26, 2007 - Jan 12, 2008 |
| Annual return (compounded) | 0.1% |
| Avg win | $1,881 |
| Avg loss | $1,141 |
Ratios
| W:L ratio | 1.10 |
|---|---|
| Sharpe Ratio | -0.63 |
| Sortino Ratio | -0.86 |
| Calmar Ratio | -0.07 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.02 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 415.7% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -13.7% |
Return Statistics
| Ann Return (w trading costs) | 0.2% |
|---|---|
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 0.1% |
Slump
| Current Slump as Pcnt Equity | 12.5% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 1.0% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.0% |
| Percent Trades Stocks | 1.0% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 18.8% |
|---|---|
| Chance of 20% account loss | 6.2% |
| Chance of 30% account loss | 0.0% |
| Chance of 40% account loss | 0.0% |
| Chance of 50% account loss | 0.0% |
| Chance of 60% account loss (Monte Carlo) | 0.0% |
| Chance of 70% account loss (Monte Carlo) | 0.0% |
| Chance of 80% account loss (Monte Carlo) | 0.0% |
| Chance of 90% account loss (Monte Carlo) | 0.0% |
| Chance of 100% account loss (Monte Carlo) | 0.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $1,141 |
|---|---|
| Avg Win | $1,881 |
| # Winners | 8 |
| Sum Trade PL (losers) | $13,689 |
| Sum Trade PL (winners) | $15,051 |
| Num Months Winners | 5 |
| # Losers | 12 |
| % Winners | 40.0% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 227 |
|---|
Frequency
| Avg Position Time (mins) | 15177.67 |
|---|---|
| Avg Position Time (hrs) | 252.96 |
| Avg Trade Length | 10.50 |
| Last Trade Ago | 6809 |
Regression
| Alpha | -0.01 |
|---|---|
| Beta | 0 |
| Treynor Index | 2.15 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.01 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.02 |
| MAE:Equity, average, losing trades | 0.02 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.01 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 35.40 |
| MAE:PL (avg, all trades) | 0.68 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 49.64 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 87.61 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.47 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.58 |
| Hold-and-Hope Ratio | 0.03 |
RATIO STATISTICS
| a (intercept, estimate of alpha) | -0.05 |
|---|---|
| VAR (95 Confidence Intrvl) | 0.01 |
DRAW DOWN STATISTICS
| Max Equity Drawdown (num days) | 17 |
|---|---|
| Last 4 Months - Pcnt Negative | 0.0% |
Trading record
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| ESLR | long | 1278 | Dec 21, 2007 | Jan 14, 2008 | ($593) |
| HES | long | 369 | Jan 8, 2008 | Jan 14, 2008 | ($797) |
| CLF | long | 652 | Jan 8, 2008 | Jan 10, 2008 | ($690) |
| STLD | long | 1090 | Jan 8, 2008 | Jan 10, 2008 | ($1,073) |
| FSIN | long | 1587 | Jan 7, 2008 | Jan 10, 2008 | ($2,084) |
| X | long | 288 | Jan 8, 2008 | Jan 10, 2008 | ($389) |
| WBD | long | 1040 | Nov 28, 2007 | Jan 8, 2008 | $6,817 |
| DV | long | 373 | Dec 21, 2007 | Jan 2, 2008 | ($1,309) |
| CQB | long | 1043 | Dec 21, 2007 | Dec 31, 2007 | ($1,298) |
| ARTW | long | 1276 | Dec 21, 2007 | Dec 28, 2007 | ($1,574) |
| LUNA | long | 2442 | Dec 10, 2007 | Dec 19, 2007 | $581 |
| EHTH | long | 940 | Nov 28, 2007 | Dec 19, 2007 | ($1,594) |
| SPIR | long | 868 | Dec 10, 2007 | Dec 19, 2007 | ($2,288) |
| QSC | long | 6000 | Nov 28, 2007 | Dec 3, 2007 | $6,055 |
| HMSY | long | 3030 | Nov 28, 2007 | Dec 3, 2007 | $134 |
| GEOY | long | 967 | Nov 28, 2007 | Dec 3, 2007 | $150 |
| MZZ | long | 28 | Nov 16, 2007 | Nov 28, 2007 | $555 |
| SDD | long | 22 | Nov 16, 2007 | Nov 28, 2007 | ($60) |
| SDS | long | 111 | Nov 16, 2007 | Nov 28, 2007 | $2 |
| TWM | long | 23 | Nov 15, 2007 | Nov 28, 2007 | $729 |
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.